@article {Hui62, author = {Cho Hoi. Hui and Chi-Fai. Lo and H.C. Lee}, title = {Pricing Vulnerable Black-Scholes Options with Dynamic Default Barriers}, volume = {10}, number = {4}, pages = {62--69}, year = {2003}, doi = {10.3905/jod.2003.319206}, publisher = {Institutional Investor Journals Umbrella}, abstract = {The {\textquotedblleft}structural approach{\textquotedblright} to modeling credit risk specifies a stochastic process that the net asset value of the issuing firm is assumed to follow. If firm value falls below a certain {\textquotedblleft}default barrier,{\textquotedblright} bankruptcy is triggered and the firm is assumed to default on its vulnerable obligations. In this article, Hui, Lo, and Lee apply the methodology to price vulnerable options written by a default risky firm. They show how a variety of default scenarios may be accommodated by use of a dynamic default barrier, while maintaining a closed-form valuation equation.}, issn = {1074-1240}, URL = {https://jod.pm-research.com/content/10/4/62}, eprint = {https://jod.pm-research.com/content/10/4/62.full.pdf}, journal = {The Journal of Derivatives} }